My new rMBP is connected to a new Airport Extreme. Do I need to turn the firewall on in Network settings? Doesn't the Extreme have a built in firewall?
If necessary, what are the best setting to select?
You don't really "need" to since you are protected by the AE, but I have it on anyway as a second line of defense. It does not cause any problems so there is no reason not to turn it on.
Also, it is good to have it on if your are out on public networks like Starbucks or a hotel, so good to just leave it on.
As long as it doesn't hurt anything, I will leave it on.
I don't connect up to any public networks, but if I every need to connect directly to Ethernet in case of a problem with the AE, I'll never remember to turn it on.